Holstenhofweg 85
Hamburg, 22008
Germany
http://www.hsu-hh.de/stochastik/
Helmut Schmidt University
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Bayesian portfolio optimization, Gordin's condition, Markov chain Monte Carlo, Stylized facts
Eigenspectrum, Eigenvalue, Financial data, Generalized elliptical distribution, Heavy tail, Marcenko-Pastur law, Principal components analysis, Random matrix theory, Spectral density, stylized facts, Tail dependence, Tail index, Tyler's M-estimator
Asset allocation, Mean-variance analysis, Noise trader, Out-of-sample performance, Portfolio resampling, Resampled efficiency, Signal trader
Estimation risk, Linear regression theory, Markowitz portfolio, Minimum variance portfolio, Portfolio optimization, Top down investment.
Ambiguity, Ellsberg's Paradox, Risk, Sure-thing Principle, Uncertainty
Asset Allocation, Bayes-Stein Estimator, CAPM Estimator, James-Stein Estimator, Minimum-Variance Estimator, Naive Diversification, Out-of-Sample Performance, Risk Function, Shrinkage Estimation
Arbitrage, complete market, complex market, efficient market, enlargement of filtrations, Fundamental Theorem of Asset Pricing, growth-optimal portfolio, immersion, numéraire portfolio, pricing, sensitive market, valuation.
beta; common risk; ergodicity; expected return; factor model; idiosyncratic risk
Covariance matrix estimation, global minimum variance portfolio, James-Stein estimation, naive diversification, shrinkage estimator
Admissibility, Closed-End Fund Puzzle, discount, Fundamental Theorem of Asset Pricing, maximal strategy, net asset value, no arbitrage, premium.
Covariance Matrix Estimation, Minimum-Variance Portfolio, Stein Estimation, Naive Diversification, Shrinkage Estimator
